The shield really is just a thing to help you close the gap on top of your E, if you aren't on top of them already. Besides if you get enough farm you can get over 1000k HP just from your Soul Furnace passive which is insanely strong for a Tank. I rarely have issues with Sion that way.
You are not aware of the way Riot balances
See, because of that passive Sion actually has below average HP
I believe at 18 he has around 1700 base, while other tanks get about 2100 base
This means that for Sion's BASE hp to EQUAL other tanks, he needs to have 200 farm...
Only after that he might start scaling SLIGHTLY higher than other tanks...
but sure, in some mythical 5 year game, yes he would reach 1mil hp as you believe